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Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

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Cited by:

  1. Auer, Benjamin R., 2013. "Can habit formation under complete market integration explain the cross-section of international equity risk premia?," Review of Financial Economics, Elsevier, vol. 22(2), pages 61-67.
  2. Ghysels, Eric & Babii, Andrii & Chen, Xi & Kumar, Rohit, 2020. "Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice," CEPR Discussion Papers 15418, C.E.P.R. Discussion Papers.
  3. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013. "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, vol. 173(1), pages 108-125.
  4. Xiaohong Chen & Demian Pouzo, 2013. "Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models," Cowles Foundation Discussion Papers 1897, Cowles Foundation for Research in Economics, Yale University.
  5. Zhang, Xiang & Liu, Yangyi & Wu, Kun & Maillet, Bertrand, 2021. "Tradable or nontradable factors—what does the Hansen–Jagannathan distance tell us?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 853-879.
  6. Escanciano, Juan Carlos & Hoderlein, Stefan & Lewbel, Arthur & Linton, Oliver & Srisuma, Sorawoot, 2021. "Nonparametric Euler Equation Identification And Estimation," Econometric Theory, Cambridge University Press, vol. 37(5), pages 851-891, October.
  7. Hammami, Yacine & Lindahl, Anna, 2014. "An intertemporal capital asset pricing model with bank credit growth as a state variable," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 14-28.
  8. Holger Kraft & Claus Munk & Frank Thomas Seifried & Sebastian Wagner, 2017. "Consumption habits and humps," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 305-330, August.
  9. Kareen Rozen, 2010. "Foundations of Intrinsic Habit Formation," Econometrica, Econometric Society, vol. 78(4), pages 1341-1373, July.
  10. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A stochastic discount factor approach to asset pricing using panel data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 628, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  11. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers CWP37/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  12. Gómez, Manuel A. & Monteiro, Goncalo, 2015. "Internal habits in an endogenous growth model with elastic labor supply," Economic Modelling, Elsevier, vol. 51(C), pages 583-595.
  13. Andrews, Donald W.K., 2017. "Examples of L2-complete and boundedly-complete distributions," Journal of Econometrics, Elsevier, vol. 199(2), pages 213-220.
  14. Andrii Babii & Jean-Pierre Florens, 2017. "Is completeness necessary? Estimation in nonidentified linear models," Papers 1709.03473, arXiv.org, revised Nov 2021.
  15. Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020. "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers 2242R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2020.
  16. Xiaohong Chen & Victor Chernozhukov & Sokbae Lee & Whitney K. Newey, 2014. "Local Identification of Nonparametric and Semiparametric Models," Econometrica, Econometric Society, vol. 82(2), pages 785-809, March.
  17. Aase, Knut K., 2004. "Jump Dynamics: The Equity Premium and the Risk-Free Rate Puzzles," Discussion Papers 2004/12, Norwegian School of Economics, Department of Business and Management Science.
  18. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
  19. Gómez Manuel A., 2010. "Endogenous Growth, Habit Formation and Convergence Speed," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-32, January.
  20. Kakeu, Johnson & Nguimkeu, Pierre, 2017. "Habit formation and exhaustible resource risk-pricing," Energy Economics, Elsevier, vol. 64(C), pages 1-12.
  21. Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
  22. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  23. Xiaohong Chen & Demian Pouzo, 2012. "Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals," Econometrica, Econometric Society, vol. 80(1), pages 277-321, January.
  24. Daniel P. Miller, 2014. "Subcontracting and competitive bidding on incomplete procurement contracts," RAND Journal of Economics, RAND Corporation, vol. 45(4), pages 705-746, December.
  25. Xiaohong Chen & Timothy M. Christensen, 2013. "Optimal uniform convergence rates for sieve nonparametric instrumental variables regression," CeMMAP working papers CWP56/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  26. Nader Shahzad Virk, 2013. "Evidence for state and time nonseparable preferences: the case of Finland," Applied Financial Economics, Taylor & Francis Journals, vol. 23(24), pages 1821-1838, December.
  27. Lewbel, Arthur & Choi, Jin Young & Zhou, Zhuzhu, 2023. "Over-identified Doubly Robust identification and estimation," Journal of Econometrics, Elsevier, vol. 235(1), pages 25-42.
  28. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
  29. Patrick Pintus & Yi Wen, 2013. "Leveraged Borrowing and Boom-Bust Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 617-633, October.
  30. Xiaohong Chen & Yin Jia Jeff Qiu, 2016. "Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide," Annual Review of Economics, Annual Reviews, vol. 8(1), pages 259-290, October.
  31. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
  32. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
  33. Liao, Yuan & Jiang, Wenxin, 2011. "Posterior consistency of nonparametric conditional moment restricted models," MPRA Paper 38700, University Library of Munich, Germany.
  34. Constantin Chilarescu & Ioana Viasu, 2016. "A Closed-form Solution of a Two-sector Endogenous Growth Model with Habit Formation," Australian Economic Papers, Wiley Blackwell, vol. 55(2), pages 112-127, June.
  35. Xiaohong Chen & Demian Pouzo, 2015. "Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models," Econometrica, Econometric Society, vol. 83(3), pages 1013-1079, May.
  36. John List & Harald Uhlig, 2017. "Introduction," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1723-1727.
  37. Gagliardini, Patrick & Scaillet, Olivier, 2012. "Tikhonov regularization for nonparametric instrumental variable estimators," Journal of Econometrics, Elsevier, vol. 167(1), pages 61-75.
  38. de Sá, Rodrigo & Savino Portugal, Marcelo, 2015. "Central bank and asymmetric preferences: An application of sieve estimators to the U.S. and Brazil," MPRA Paper 72746, University Library of Munich, Germany.
  39. Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
  40. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July.
  41. Xu, Yuewu & Yao, Xiangkun, 2019. "Extending the Hansen–Jagannathan distance measure of model misspecification," Finance Research Letters, Elsevier, vol. 29(C), pages 384-392.
  42. David Alaminos & Ignacio Esteban & M. Belén Salas, 2023. "Neural networks for estimating Macro Asset Pricing model in football clubs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(2), pages 57-75, April.
  43. Raj Chetty & Adam Szeidl, 2016. "Consumption Commitments and Habit Formation," Econometrica, Econometric Society, vol. 84, pages 855-890, March.
  44. Xiaohong Chen & Demian Pouzo, 2014. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," CeMMAP working papers 38/14, Institute for Fiscal Studies.
  45. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers 37/14, Institute for Fiscal Studies.
  46. Benjamin R. Auer, 2013. "Can habit formation under complete market integration explain the cross‐section of international equity risk premia?," Review of Financial Economics, John Wiley & Sons, vol. 22(2), pages 61-67, April.
  47. Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone, 2012. "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 425-460.
  48. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the stochastic discount factor without a utility function," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 583, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  49. Robert Östling & Erik Lindqvist & David Cesarini & Joseph Briggs, 2016. "Wealth, Portfolio Allocations, and Risk Preference," 2016 Meeting Papers 1089, Society for Economic Dynamics.
  50. Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.
  51. Ufuk Akcigit & Fernando Alvarez & Stephane Bonhomme & George M Constantinides & Douglas W Diamond & Eugene F Fama & David W Galenson & Michael Greenstone & Lars Peter Hansen & Uhlig Harald & James J H, 2017. "The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics," Natural Field Experiments 00635, The Field Experiments Website.
  52. Chaohua Dong & Jiti Gao, 2012. "Expansion of Lévy Process Functionals and Its Application in Statistical Estimation," Monash Econometrics and Business Statistics Working Papers 2/12, Monash University, Department of Econometrics and Business Statistics.
  53. Yuewu Xu, 2021. "A new measure of model misspecification with the no-arbitrage constraint: extending the second Hansen–Jagannathan distance," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 917-938, April.
  54. Chen, Xiaohong & Liao, Zhipeng, 2015. "Sieve semiparametric two-step GMM under weak dependence," Journal of Econometrics, Elsevier, vol. 189(1), pages 163-186.
  55. Stuart Hyde & Mohamed Sherif, 2005. "Consumption Asset Pricing Models: Evidence From The Uk," Manchester School, University of Manchester, vol. 73(3), pages 343-363, June.
  56. M Boschi & S d'Addona & A Goenka, 2012. "Testing external habits in an asset pricing model," CAMA Working Papers 2012-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  57. Chen, Jiafeng & Chen, Xiaohong & Tamer, Elie, 2023. "Efficient estimation of average derivatives in NPIV models: Simulation comparisons of neural network estimators," Journal of Econometrics, Elsevier, vol. 235(2), pages 1848-1875.
  58. Natalia, Khorunzhina & Wayne Roy, Gayle, 2011. "Heterogenous intertemporal elasticity of substitution and relative risk aversion: estimation of optimal consumption choice with habit formation and measurement errors," MPRA Paper 34329, University Library of Munich, Germany.
  59. J. Davies & Jonathan Fletcher & Andrew Marshall, 2015. "Testing index-based models in U.K. stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 337-362, August.
  60. Chaohua Dong & Jiti Gao, 2013. "Orthogonal Expansion of Levy Process Functionals: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 3/13, Monash University, Department of Econometrics and Business Statistics.
  61. Belén Nieto & Gonzalo Rubio, 2007. "Measuring time-varying economic fears with consumption-based stochastic discount factors," Economics Working Papers 1029, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2007.
  62. Bunzel, Helle, 2006. "Habit persistence, money, and overlapping generations," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2425-2445, December.
  63. Mengyuan Zhou, 2018. "Who are the Joneses You are Keeping up with?," Economics Bulletin, AccessEcon, vol. 38(3), pages 1261-1266.
  64. Eduard Dubin & Olesya V. Grishchenko & Vasily Kartashov, 2012. "Habit formation heterogeneity: Implications for aggregate asset pricing," Finance and Economics Discussion Series 2012-07, Board of Governors of the Federal Reserve System (U.S.).
  65. Ascari, Guido & Magnusson, Leandro M. & Mavroeidis, Sophocles, 2021. "Empirical evidence on the Euler equation for consumption in the US," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 129-152.
  66. Giampietro, Marta & Guidolin, Massimo & Pedio, Manuela, 2018. "Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 685-702.
  67. Raymond Kan & Cesare Robotti, 2009. "Model Comparison Using the Hansen-Jagannathan Distance," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3449-3490, September.
  68. Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation: With an Application to Option Pricing," Papers 2102.09209, arXiv.org.
  69. Victor H Aguiar & Nail Kashaev, 2021. "Stochastic Revealed Preferences with Measurement Error [Consistency between Household-level Consumption Data from Registers and Surveys]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(4), pages 2042-2093.
  70. Emir Malikov & Shunan Zhao & Subal C. Kumbhakar, 2020. "Estimation of firm‐level productivity in the presence of exports: Evidence from China's manufacturing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 457-480, June.
  71. Chugh, Sanjay K., 2007. "Optimal inflation persistence: Ramsey taxation with capital and habits," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1809-1836, September.
  72. Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011. "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3158-3173.
  73. Xiaohong Chen & Timothy M. Christensen, 2013. "Optimal uniform convergence rates for sieve nonparametric instrumental variables regression," CeMMAP working papers 56/13, Institute for Fiscal Studies.
  74. Xiaohong Chen & Yuan Liao & Weichen Wang, 2022. "Inference on Time Series Nonparametric Conditional Moment Restrictions Using General Sieves," Papers 2301.00092, arXiv.org, revised Jan 2023.
  75. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
  76. Chen, Xiaohong & Xiao, Zhijie & Wang, Bo, 2022. "Copula-based time series with filtered nonstationarity," Journal of Econometrics, Elsevier, vol. 228(1), pages 127-155.
  77. Alonso, Francisco & Blanco, Roberto & Rubio Irigoyen, Gonzalo, 2005. "Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
  78. George M. Constantinides, 2017. "Asset Pricing: Models and Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1782-1790.
  79. Frantisek Brazdik & Tibor Hledik & Zuzana Humplova & Iva Martonosi & Karel Musil & Jakub Rysanek & Tomas Sestorad & Jaromir Tonner & Stanislav Tvrz & Jan Zacek, 2020. "The g3+ Model: An Upgrade of the Czech National Bank's Core Forecasting Framework," Working Papers 2020/7, Czech National Bank.
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  81. Benjamin Auer, 2011. "Can consumption-based asset pricing models explain the cross-section of investment funds returns?," Applied Financial Economics, Taylor & Francis Journals, vol. 21(17), pages 1273-1279.
  82. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2023. "The Real Response to Uncertainty Shocks: The Risk Premium Channel," Management Science, INFORMS, vol. 69(1), pages 119-140, January.
  83. Edward R. Lawrence & John Geppert & Arun J. Prakash, 2009. "An Empirical Investigation of the Campbell-Cochrane Habit Utility Model," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5-6), pages 774-791.
  84. Qiang Dai & Olesya V. Grishchenko, 2014. "An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-34.
  85. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2010. "On the Hansen-Jagannathan distance with a no-arbitrage constraint," FRB Atlanta Working Paper 2010-04, Federal Reserve Bank of Atlanta.
  86. James P. Cover & Boyi Zhuang, 2021. "Life with habit and expectation: A new explanation of equity premium puzzle," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 50(1), February.
  87. Schiraldi, Pasquale & Levy, Matthew R., 2021. "Identification of Dynamic Discrete-Continuous Choice Models, with an Application to Consumption-Savings-Retirement," CEPR Discussion Papers 15719, C.E.P.R. Discussion Papers.
  88. Peyton Ferrier & Chen Zhen, 2014. "The producer welfare effects of trade liberalization when goods are perishable and habit-forming: the case of asparagus," Agricultural Economics, International Association of Agricultural Economists, vol. 45(2), pages 129-141, March.
  89. Nikolay Gospodinov & Esfandiar Maasoumi, 2017. "General Aggregation of Misspecified Asset Pricing Models," FRB Atlanta Working Paper 2017-10, Federal Reserve Bank of Atlanta.
  90. Adam Szeidl & Raj Chetty, 2005. "Consumption Commitments: Neoclassical Foundations for Habit Formation," 2005 Meeting Papers 122, Society for Economic Dynamics.
  91. Moore, Michael J. & Roche, Maurice J., 2012. "When does uncovered interest parity hold?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 865-879.
  92. Jean-Jacques Forneron, 2019. "A Sieve-SMM Estimator for Dynamic Models," Papers 1902.01456, arXiv.org, revised Jan 2023.
  93. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer;Spanish Economic Association, vol. 11(2), pages 141-164, June.
  94. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
  95. de Sá, Rodrigo & Portugal, Marcelo S., 2015. "Central bank and asymmetric preferences: An application of sieve estimators to the U.S. and Brazil," Economic Modelling, Elsevier, vol. 51(C), pages 72-83.
  96. Aase, Knut K. & Lillestøl, Jostein, 2015. "Beyond the local mean-variance analysis in continuous time: The problem of non-normality," Discussion Papers 2015/11, Norwegian School of Economics, Department of Business and Management Science.
  97. Dmitriev, Alexandre, 2017. "Composite habits and international transmission of business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 1-34.
  98. Max H. Farrell & Tengyuan Liang & Sanjog Misra, 2020. "Deep Learning for Individual Heterogeneity: An Automatic Inference Framework," Papers 2010.14694, arXiv.org, revised Jul 2021.
  99. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.
  100. Sangwon Suh, 2018. "Portfolio Selection using New Factors based on Firm Characteristics," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 43(1), pages 77-99, March.
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